Remember on old maps, where at the edges the cartographer would write "here there be dragons"? (In actuality, this seems not to have happened, but...) Sadly, getting a color printout that accurately matches what you see on your screen (or what someone else sees on theirs) can be nearly as daunting a task as battling a fire-breathing giant lizard.
For starters, it is almost guaranteed that your monitor does not produce the colors and intensities that your software tells it to draw, and the same applies to the printer. Without knowing the character of the transformation that each device inflicts on the data sent to it, it is a haphazard task to attempt to get a decent match between them, and even once you get it, there's little reason to believe that if you send the file to someone else to print, that it will look the same on their screen and printer. All in all, it's akin to trying to make the image look good on the screen while wearing tinted glasses, then putting on a differently tinted pair when looking at the print. The answer to this mess is calibration and profiling and the use of ColorSync. Unfortunately decent calibration requires equipment and software, none of which is particularly inexpensive (start at $150, can go into the thousands). Most displays are shockingly far off the mark, in my experience, new or old, cheap or high-end, unless it comes with a hardware calibration device. Recent Apple displays are extremely bright, which would square nicely with your observation that your printouts all seem dark. I trust it is obvious enough that if your monitor is overly bright, you'll have a hard time getting the printouts to match (and we're not even touching on the difference in dynamic range between something printed on reflective material versus a backlit transparency).
I'm not a big OmniGraffle user, and haven't tinkered much with the color profile stuff there. Working CMYK is the Mac OS X default for proofing; if you had a profile for your printer(s) installed in /Library/ColorSync/ you could select it from the list. You can try using the calibration in System Preferences -> Displays -- it's not going to replace buying a piece of hardware, but it will help you get a handle on the brightness issue, I think. Even when you do calibrate your monitor you need to be careful not to change the brightness setting or the calibration will be off. At least you aren't trying to print photographs that can be compared to the original subject, count your blessings!